The Phillips unit root tests for polynomials of integrated processes

dc.contributor.author	Stypka, Oliver
dc.contributor.author	Wagner, Martin
dc.date.accessioned	2018-09-05T09:41:26Z
dc.date.available	2018-09-05T09:41:26Z
dc.date.issued	2018
dc.description.abstract	We show that the Phillips (1987) unit root tests have nuisance parameter free limiting dis- tributions when applied to polynomials of integrated processes driven by linear process errors. This substantially generalizes a similar result of Wagner (2012) allowing only for serially uncor- related errors. The result is based on novel kernel weighted sum limit results involving powers of integrated processes. These results allow us also consider additional modifications of the Phillips (1987) tests applicable to polynomials of integrated processes.	en
dc.identifier.uri	http://hdl.handle.net/2003/37119
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-19115
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB823;18/2018
dc.subject	integrated process	en
dc.subject	polynomial transformation	en
dc.subject	Phillips unit root tests	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	The Phillips unit root tests for polynomials of integrated processes	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.dnb.deposit	true	de
eldorado.secondarypublication	false	de

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